In this paper we show that the random walk model with drift behaves like an ARIMA (0,2,1) when its parameter θ is greater but close to –1. Using the random walk for predicting future values of an ARIMA (0,2,1) process, we find out that when θ is not so close to –1, the performance of the...

This study examined monthly government bonds response to announcements about Consumer price index (CPI) beginning from July 2001 to September 2009.The findings significantly supported that the consumer price index (CPI) causes the government bonds and also the non-seasonal lags (AR1) of...